Page 151 - JOJAPS_VOL13

JOJAPS

eISSN 2504-8457

Journal Online Jaringan Pengajian Seni Bina (JOJAPS)

The Influence of Stock Trading Volume, Size Asset and Cash Flow
on Bid Ask Spread at First Operation of Bursa EFEK Indonesia

c
d
a
b
a
Trie Nadilla *, Desy Puspita , Azlina , Ricky Ariansyah , Saiful Bahgia
a
Department of Financial Analysis, Politeknik Kutaraja, Banda Aceh, Indonesia
b Department of Public Financial Management, Politeknik Kutaraja, Banda Aceh, Indonesia
c Department of Office Administration, Politeknik Kutaraja, Banda Aceh, Indonesia
d Department of Accounting, Politeknik Kutaraja, Banda Aceh, Indonesia
trienadilla@yahoo.co.id

Abstract

The purpose of this study is to examine the effect of stock trading volume, asset size and operating cash flow on bid ask spread on the initial
operations of the Bursa Efek Indonesia. Population selection is using the census and event window methods, and using lead 5 and a lag of 5
exchange work days. The type of data used in this study is secondary data and cross sectional data which is carried out by collecting daily data
of manufacturing companies published by the IDX and then classified by companies which include shares of the LQ 45 index then analyzed
using multiple linear regression methods. The result shows that stock trading volume has positive influence on bid ask spread. Furthemore,
asset size has significant influence on bid ask spread and operating cash flow has no influence on bid ask spread

© 2012 Published by JOJAPS Limited.

Key-word: - Stock trading volume, Asset Size, Operating Cash Flow, Bid Ask Spread, Event Window, IDX

1. Introduction
In competitive and open globalization era, construction attempted economic growth of a country is going to be very important.
(Supriyanto, 2013). Every company aims to maximize its stakeholders (Supriyanto and Lestari, 2015). Investors need to have a
number of asymmetry information to make decisions about company investment (issuers) which is deserved to form in a portfolio.
In the study of Glosten and Harris (1998), found evidence that changes in the investment spread in a significant amount caused by
asymmetric information. If investors has a number of welcome investment and the information, it is expected to have a change in
the value of the investment (Ambarwati, 2008). Bid ask spread is the difference of highest purchasing price and the lowest selling
price of the investment made by the trader (Mardiyah, 2002). Stoll 1989 in Halim and Hidayat (2000) states that the bid ask spread
has function in the three cost components, derived from (1) inventory holding, (2) order processing (3) asymmetry Information.
Security ownership costs consist of price risk and opportunity cost associated by investor. Processing fees are related to costs for
managing trade, recording transactions, administration, telephone, etc. Meanwhile, the cost of asymmetry information asymmetry is
the cost caused by a different trader and accessing information where the first part is an informed trader who has superior information
and the other part is a un-informed trader who has no information. The difference in terms of information presents a risk for those
who have information, therefore to cover their losses reflected in the bid ask spread as a measure of information costs, the costs
incurred by traders can be compensated. The study of bid ask spread can be conducted by observing some influential factors to bid
ask spread, such as stock trading volume, size asset and operational cash flow. The variables of stock trading volume refers to how
active the investment favored by investors so the bid ask spread is getting less (Ambarwati, 2008). Asset size is a benchmark to
describe the size of the company because the size of the company is often seen by capital market investors as a condition that shows
the company provides quality information (Barry and Brown, 1984 in Tumirin, 2005). Bid Ask spread is also influenced by
information on cash flow from operating activities where the company's cash is able to finance all of the company's operations.
According to Sharif (2002) cash flow statement information contains empirically investment that investigates the influence of cash
flow on bid ask spread on companies listed on the JSE by applying event study method during the initial operation of the Bursa Efek
Indonesia on December 3, 2007.
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